4 papers
Hidden Dependence and Aggregate Tail Risk
Corrado De Vecchi, Max Nendel, Steven Vanduffel
We study risk aggregation problems for arbitrary non-decreasing aggregation functions and tail risk measures under dependence uncertainty in a distributionally robust setting. To t…
Absolute Continuity of Monotone Aggregations under Positive Regression Dependence
Ben Goldys, Max Nendel
In this paper, we provide a sufficient condition for the absolute continuity of one-dimensional push-forwards of dependent random vectors. Suppose that has an absolutely contin…
Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
Corrado De Vecchi, Max Nendel, Jan Streicher
In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of…
A hypothesis test for the long-term calibration in rating systems with overlapping time windows
Patrick Kurth, Max Nendel, Jan Streicher
We present a statistical test that can be used to verify supervisory requirements concerning overlapping time windows for the long-term calibration in rating systems. In a first st…